Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 22 (1D) | Oct 23 (2D) | Oct 24 (3D) | Oct 27 (6D) | Oct 28 (7D) | Oct 29 (8D) | Oct 30 (9D) | Oct 31 (10D) | Nov 03 (13D) | Nov 04 (14D) | Nov 07 (17D) | Nov 14 (24D) | Nov 21 (31D) | Nov 28 (38D) | Dec 05 (45D) | Dec 12 (52D) | Dec 19 (59D) | Dec 26 (66D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 664.894 | 662.241 | 660.205 | 655.61 | 654.352 | 653.182 | 652.083 | 651.044 | 648.204 | 647.333 | 644.889 | 639.919 | 635.635 | 631.813 | 628.33 | 625.109 | 622.098 | 619.261 |
| upper | 677.706 | 680.359 | 682.395 | 686.99 | 688.248 | 689.418 | 690.517 | 691.556 | 694.396 | 695.267 | 697.711 | 702.681 | 706.965 | 710.787 | 714.27 | 717.491 | 720.502 | 723.339 |
| expected move | 6.406 | 9.059 | 11.095 | 15.69 | 16.948 | 18.118 | 19.217 | 20.256 | 23.096 | 23.967 | 26.411 | 31.381 | 35.665 | 39.487 | 42.97 | 46.191 | 49.202 | 52.039 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
